scientific article; zbMATH DE number 796442
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Publication:4845600
zbMATH Open0833.90020MaRDI QIDQ4845600FDOQ4845600
Authors: Ludger Rüschendorf, Svetlozar T. Rachev
Publication date: 20 February 1996
Title of this publication is not available (Why is that?)
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Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24)
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- Binomial option pricing with nonidentically distributed returns and its implications
- A parameter estimation of binomial models
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- A study of a type of exotic options in the presence of inflow and outflow of capital in the binomial model of the financial \((B, S)\)-market
- Option pricing for large agents
- Effective and simple VWAP options pricing model
- Option pricing for stable and infinitely divisible asset returns
- Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
- Some possible stock price distributions under incompleteness of the market
- The random-time binomial model
- Option pricing under the Merton model of the short rate
- Maximum likelihood estimation of stable Paretian models.
- Models for option pricing based on empirical characteristic function of returns
- On strong causal binomial approximation for stochastic processes
- Option Pricing in ARCH-type Models
- Title not available (Why is that?)
- Multivariate option price models and extremes
- Richter's local limit theorem and Black-Scholes type formulas
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